Includes bibliographical references. / In this thesis we replace the normal distribution assumption in the calculation of the prior equilibrium returns used in the model with a more general distribution which captures the skewness and fat tails exhibited by stock data. We consider the รก stable distributions as an alternative distribution to the normal distribution. Consequently we also consider alternative measures of risk, the Value at Risk and the Conditional Value at Risk other than the variance used in the normal case.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:uct/oai:localhost:11427/13426 |
| Date | January 2011 |
| Creators | Mbofana, Stewart |
| Contributors | Becker, Ronald |
| Publisher | University of Cape Town, Faculty of Commerce, Division of Actuarial Science |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Master Thesis, Masters, MPhil |
| Format | application/pdf |
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